Online PCA with Spectral Bounds


This paper revisits the online PCA problem. Given a stream of n vectors xt ∈ R (columns of X) the algorithm must output yt ∈ R (columns of Y ) before receiving xt+1. The goal of online PCA is to simultaneously minimize the target dimension ` and the error ‖X − (XY +)Y ‖. We describe two simple and deterministic algorithms. The first, receives a parameter… (More)
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